Do foreigners facilitate information transmission in emerging markets?

Kee-Hong Bae, Arzu Ozoguz, Hongping Tan and Tony Wirjanto ()

Journal of Financial Economics, 2012, vol. 105, issue 1, 209-227

Abstract: Using the degree of accessibility of foreign investors to emerging stock markets, or investibility, as a proxy for the extent of foreign investments, we assess whether investibility has a significant influence on the diffusion of global market information across stocks in emerging markets. We show that greater investibility reduces price delay to global market information. We also find that returns of highly investible stocks lead those of noninvestible stocks because they incorporate global information more quickly. These results are consistent with the idea that financial liberalization in the form of greater investibility yields informationally more efficient stock prices in emerging markets.

Keywords: Foreign investors; Information diffusion; Investibility; Price delay; Emerging stock markets; Financial liberalization (search for similar items in EconPapers)
JEL-codes: F36 G14 G15 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (117)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:105:y:2012:i:1:p:209-227

DOI: 10.1016/j.jfineco.2012.01.001

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